Related papers: Diffusion Approximations in the Online Increasing …

Belief Propagation algorithms are instruments used broadly to solve graphical model optimization and statistical inference problems. In the general case of a loopy Graphical Model, Belief Propagation is a heuristic which is quite successful…

Estimation of parameters of a diffusion based on discrete time observations poses a difficult problem due to the lack of a closed form expression for the likelihood. From a Bayesian computational perspective it can be casted as a missing…

We develop an online learning method for prediction, which is important in problems with large and/or streaming data sets. We formulate the learning approach using a covariance-fitting methodology, and show that the resulting predictor has…

We consider a connection-level model of Internet congestion control, introduced by Massouli\'{e} and Roberts [Telecommunication Systems 15 (2000) 185--201], that represents the randomly varying number of flows present in a network. Here,…

We provide a unified treatment of a broad class of noisy structure recovery problems, known as structured normal means problems. In this setting, the goal is to identify, from a finite collection of Gaussian distributions with different…

Convergence of stochastic processes with jumps to diffusion processes is investigated in the case when the limit process has discontinuous coefficients. An example is given in which the diffusion approximation of a queueing model yields a…

We present a framework leveraging a novel variant of the model-based diffusion algorithm to minimize the time required for a redundant dual-arm robot configuration to follow a desired relative Cartesian path. Our prior work proposed a…

We study the infinite-horizon average (ergodic) risk sensitive control problem for diffusion processes under a general structural hypothesis: there is a partition of state space into two subsets, where the controlled diffusion process…

Submodular maximization problems belong to the family of combinatorial optimization problems and enjoy wide applications. In this paper, we focus on the problem of maximizing a monotone submodular function subject to a $d$-knapsack…

We consider a lognormal diffusion process having a multisigmoidal logistic mean, useful to model the evolution of a population which reaches the maximum level of the growth after many stages. Referring to the problem of statistical…

We consider a renewal process that is conditioned on the number of events in a fixed time horizon. We prove that a centered and scaled version of this process converges to a Brownian bridge, as the number of events grows large, which relies…

Continuous-time stochastic processes play an important role in the description of random phenomena, it is therefore of prime interest to study particular variables depending on their paths, like stopping time for example. One approach…

We study the ergodic control problem for a class of controlled jump diffusions driven by a compound Poisson process. This extends the results of [SIAM J. Control Optim. 57 (2019), no. 2, 1516-1540] to running costs that are not…

Resource allocation in distributed and networked systems such as the Cloud is becoming increasingly flexible, allowing these systems to dynamically adjust toward the workloads they serve, in a demand-aware manner. Online balanced…

In order for an e-commerce platform to maximize its revenue, it must recommend customers items they are most likely to purchase. However, the company often has business constraints on these items, such as the number of each item in stock.…

We study a majority based preference diffusion model in which the members of a social network update their preferences based on those of their connections. Consider an undirected graph where each node has a strict linear order over a set of…

Frequency estimation in data streams is one of the classical problems in streaming algorithms. Following much research, there are now almost matching upper and lower bounds for the trade-off needed between the number of samples and the…

Penalized estimation methods for diffusion processes and dependent data have recently gained significant attention due to their effectiveness in handling high-dimensional stochastic systems. In this work, we introduce an adaptive…

For three constrained Brownian motions, the excursion, the meander, and the reflected bridge, the densities of the maximum and of the time to reach it were expressed as double series by Majumdar, Randon-Furling, Kearney, and Yor (2008).…

We consider a class of learning problems that involve a structured sparsity-inducing norm defined as the sum of $\ell_\infty$-norms over groups of variables. Whereas a lot of effort has been put in developing fast optimization methods when…